Stavros A. Zenios

According to our database1, Stavros A. Zenios authored at least 77 papers between 1986 and 2020.

Collaborative distances:



In proceedings 
PhD thesis 




Integrated dynamic models for hedging international portfolio risks.
Eur. J. Oper. Res., 2020

Preface: application of operations research to financial markets.
Ann. Oper. Res., 2019

Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances.
Eur. J. Oper. Res., 2018

Portfolio diversification in the sovereign credit swap markets.
Ann. Oper. Res., 2018

Robust Optimization.
Proceedings of the Encyclopedia of Optimization, Second Edition, 2009

Stochastic Programming: Parallel Factorization of Structured Matrices.
Proceedings of the Encyclopedia of Optimization, Second Edition, 2009

Feature Cluster: Operational Research for Risk Management.
Eur. J. Oper. Res., 2008

A dynamic stochastic programming model for international portfolio management.
Eur. J. Oper. Res., 2008

Asset and liability modelling for participating policies with guarantees.
Eur. J. Oper. Res., 2008

Credit risk optimization using factor models.
Ann. Oper. Res., 2007

Scenario optimization asset and liability modelling for individual investors.
Ann. Oper. Res., 2007

On the simulation of portfolios of interest rate and credit risk sensitive securities.
Eur. J. Oper. Res., 2005

Estimation of asset demands by heterogeneous agents.
Eur. J. Oper. Res., 2005

Risk factor analysis and portfolio immunization in the corporate bond market.
Eur. J. Oper. Res., 2005

24. Optimization Models for Structuring Index Funds.
Proceedings of the Applications of Stochastic Programming, 2005

Computation of feasible portfolio controlstrategies for an insurance company using a discrete time asset/liability model.
Math. Comput. Model., 2004

Interfaces, 2004

Integrated simulation and optimization models for tracking international fixed income indices.
Math. Program., 2001

High-performance computing in finance: The last 10 years and the next.
Parallel Comput., 1999

Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models.
Oper. Res., 1999

Benchmarks of the Efficiency of Bank Branches.
Interfaces, 1999

Using data envelopment analysis for costing bank products.
Eur. J. Oper. Res., 1999

Scalable parallel computations forlarge-scale stochastic programming.
Ann. Oper. Res., 1999

Scenario modeling for the management ofinternational bond portfolios.
Ann. Oper. Res., 1999

An interior point method with Bregman functions for the variational inequality problem with paramonotone operators.
Math. Program., 1998

Scalable Parallel Benders Decomposition for Stochastic Linear Programming.
Parallel Comput., 1997

A Scalable Parallel Interior Point Algorithm for Stochastic Linear Programming and Robust Optimization.
Comput. Optim. Appl., 1997

A stochastic programming model for funding single premium deferred annuities.
Math. Program., 1996

Solving multistage stochastic network programs on massively parallel computers.
Math. Program., 1996

Massively Parallel Computations in Finance.
Proceedings of the Applications on Advanced Architecture Computers, 1996

Data Parallel Quadratic Programming on Box-Constrained Problems.
SIAM J. Optim., 1995

Parallelization Strategies of a Row-action Method for Multicommodity Network Flow Problems.
Parallel Algorithms Appl., 1995

Robust Optimization of Large-Scale Systems.
Oper. Res., 1995

The Productivity of Financial Intermediation and the Technology of Financial Product Management.
Oper. Res., 1995

Asset/liability management under uncertainty for fixed-income securities.
Ann. Oper. Res., 1995

Ann. Oper. Res., 1995

A data-level parallel linear-quadratic penalty algorithm for multicommodity network flows.
ACM Trans. Math. Softw., 1994

On Smoothing Exact Penalty Functions for Convex Constrained Optimization.
SIAM J. Optim., 1994

Parallel Factorization of Structured Matrices Arising in Stochastic Programming.
SIAM J. Optim., 1994

On the Scalability of Data-Parallel Decomposition Algorithms for Stochastic Programs.
J. Parallel Distributed Comput., 1994

Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities.
Oper. Res., 1994

Data parallel computing for network-structured optimization problems.
Comput. Optim. Appl., 1994

A Comparative Study of Parallel Decompositions for Multicommodity Flow Problems.
Parallel Algorithms Appl., 1993

A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems.
Oper. Res., 1993

Massively Parallel Proximal Algorithms for Solving Linear Stochastic Network Programs.
Int. J. High Perform. Comput. Appl., 1993

Proximal minimizations with <i>D</i>-functions and the massively parallel solution of linear network programs.
Comput. Optim. Appl., 1993

Mean-absolute deviation portfolio optimization for mortgage-backed securities.
Ann. Oper. Res., 1993

A model for portfolio management with mortgage-backed securities.
Ann. Oper. Res., 1993

Parallel Block-Partitioning of Truncated Newton for Nonlinear Network Optimization.
SIAM J. Sci. Comput., 1992

Data structures for network algorithms on massively parallel architectures.
Parallel Comput., 1992

Parallel Decomposition of Multicommodity Network Flows Using a Linear-Quadratic Penalty Algorithm.
INFORMS J. Comput., 1992

Massively Parallel Algorithms for Singly Constrained Convex Programs.
INFORMS J. Comput., 1992

Parallel Decomposition of multicommodity Flow Problems using Coercion Methods.
Proceedings of the Computer Science and Operations Research, 1992

Naval personnel Assignment: an Application of linear-quadratic penalty Methods.
Proceedings of the Computer Science and Operations Research, 1992

Proceedings of the Computer Science and Operations Research, 1992

Massively Parallel Row-Action Algorithms for Some Nonlinear Transportation Problems.
SIAM J. Optim., 1991

On the Fine-Grain Decomposition of Multicommodity Transportation Problems.
SIAM J. Optim., 1991

Synchronous and asynchronous implementations of relaxation algorithms for nonlinear network optimization.
Parallel Comput., 1991

On the Massively Parallel Solution of the Assignment Problem.
J. Parallel Distributed Comput., 1991

Financial Simulations On a Massively Parallel Connection Machine.
Int. J. High Perform. Comput. Appl., 1991

An Investigation of the Effect of Problem Structure on Stochastic Programming Algorithms.
Proceedings of the Fifth SIAM Conference on Parallel Processing for Scientific Computing, 1991

On a Massively Parallel e-Relaxization Algorithm for Linear Transformation Problems.
Proceedings of the International Conference on Parallel Processing, 1991

On the Massively Parallel Solution of Linear Network Flow Problems.
Proceedings of the Network Flows And Matching, 1991

Integrating network optimization capabilities into a high-level modeling language.
ACM Trans. Math. Softw., 1990

A Comparative Study of Algorithms for Matrix Balancing.
Oper. Res., 1990

Matrix Balancing on a Massively Parallel Connection Machine.
INFORMS J. Comput., 1990

Bibliographic Section.
Transp. Sci., 1989

Balancing large social accounting matrices with nonlinear network programming.
Networks, 1989

OR Practice - Large-Scale Nonlinear Network Models and Their Application.
Oper. Res., 1989

Parallel Numerical Optimization: Current Status and an Annotated Bibliography.
INFORMS J. Comput., 1989

An Optimal Parallel Implementation of a Quadratic Transportation Algorithm.
Proceedings of the Fourth SIAM Conference on Parallel Processing for Scientific Computing, 1989

A distributed algorithm for convex network optimization problems.
Parallel Comput., 1988

Vectorization and multitasking of nonlinear network programming algorithms.
Math. Program., 1988

The connection machines CM-1 and CM-2: solving nonlinear network problems.
Proceedings of the 2nd international conference on Supercomputing, 1988

Nonlinear programming on generalized networks.
ACM Trans. Math. Softw., 1987

Nonlinear Network Programming on Vector Supercomputers: A Study on the CRAY X-MP.
Oper. Res., 1986

Nonlinear network programming on a vector supercomputer (abstract).
Proceedings of the 14th ACM Annual Conference on Computer Science, 1986